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from serenitas.analytics.bbg_helpers import init_bbg_session, retrieve_data
from serenitas.analytics.dates import roll_date
import datetime
import pandas as pd
def bbg_name(index_type: str, series: int, tenor="5yr", version=None) -> str:
if index_type == "EU":
index_type = "EUR"
index_name = "ITRX"
elif index_type == "XO":
index_type = "XOVER"
index_name = "ITRX"
elif index_type == "HYBB":
index_name = ""
elif index_type == "EUFS":
index_name = ""
index_type = "SNRFIN"
else:
index_name = "CDX"
return f"{index_name} {index_type} CDSI S{series} {f'V{version} ' if version else ''}{tenor[:2].upper()} Corp".lstrip()
def new_basket_id(
conn,
session,
index_type,
series,
version=1,
mat_5yr=roll_date(datetime.date.today(), 5),
coupon=100,
red=None,
):
if red is None:
name = bbg_name(index_type, series, version=version)
data = retrieve_data(session, [name], ["CDS_RED_PAIR_CODE"])
red = data[name]["CDS_RED_PAIR_CODE"]
sql_series = (
"INSERT INTO index_series(index, series) VALUES(%s, %s) RETURNING index_id"
)
sql_version = (
"INSERT INTO index_factors(index_id, version, redindexcode) "
"VALUES(%s, %s, %s) RETURNING basketid"
)
with conn.cursor() as c:
c.execute(sql_series, (index_type, series))
(index_id,) = c.fetchone()
c.execute(sql_version, (index_id, version, red))
(basket_id,) = c.fetchone()
maturities = [mat_5yr.replace(year=mat_5yr.year + off) for off in [-2, 0, 2, 5]]
with conn.cursor() as c:
c.executemany(
"INSERT INTO index_maturities(index_id, tenor, maturity, coupon) VALUES (%s, %s, %s, %s)",
[
(index_id, t, m, coupon)
for t, m in zip(["3yr", "5yr", "7yr", "10yr"], maturities)
],
)
conn.commit()
return basket_id
def get_index_members(session, index_type: str, series: int) -> pd.DataFrame:
name = bbg_name(index_type, series)
df = retrieve_data(session, [name], ["INDX_MEMBERS"])
df = df[name]["INDX_MEMBERS"]
tickers = df["column 4"]
company_ids = retrieve_data(
session, [t + " Corp" for t in tickers], ["cds_company_id"]
)
company_ids = pd.DataFrame.from_dict(company_ids, orient="index")
company_ids = company_ids.reset_index()
company_ids["index"] = company_ids["index"].str.replace(" Corp", "")
company_ids = company_ids.set_index("index")
df = df.rename(columns={"column 4": "ticker"})
df = df.set_index("ticker").join(company_ids)
df = df.drop("column 5", axis=1)
df.columns = ["name", "weight", "currency", "seniority", "company_id"]
df.seniority = df.seniority.replace("LAC", "SLA")
return df
def new_index_series(conn, basketid, df):
with conn.cursor() as c:
c.executemany(
"INSERT INTO basket_constituents VALUES(%s, %s, %s, %s)",
[
(
t.company_id,
t.seniority,
basketid,
1.0,
)
for t in df.itertuples(index=False)
],
)
conn.commit()
def add_missing_issuers(conn, session, df):
all_company_ids = pd.read_sql_query(
"SELECT company_id, seniority FROM bbg_issuers",
conn,
index_col=["company_id", "seniority"],
)
df = df.reset_index().set_index(["company_id", "seniority"])
df = df.loc[df.index.difference(all_company_ids.index)]
if df.empty:
return []
tickers = [f"{t} Corp" for t in df.ticker]
bbg_data = retrieve_data(
session,
tickers,
[
"cds_restructuring_type",
"cds_corp_tkr",
"restructuring_type_short_code",
"cds_curve_info",
],
)
sql_str = (
"INSERT INTO bbg_issuers "
"(name, company_id, ticker, currency, seniority, doc_clause, cds_curve, short_code)"
"VALUES(%s, %s, %s, %s, %s, %s, %s, %s) ON CONFLICT DO NOTHING"
)
df = df.reset_index()
with conn.cursor() as c:
for r in df.itertuples(index=False):
data = bbg_data[f"{r.ticker} Corp"]
c.execute(
sql_str,
(
r.name,
r.company_id,
data["cds_corp_tkr"],
r.currency,
r.seniority,
data["cds_restructuring_type"].replace("-", " "),
data["cds_curve_info"].Ticker.to_list(),
data["restructuring_type_short_code"],
),
)
conn.commit()
return df
def markit_mappings(conn, df):
sql_str = "INSERT INTO bbg_markit_mapping VALUES('infinity', %s, %s, %s, %s, %s)"
with conn.cursor() as c:
for r in df.itertuples(index=False):
c.execute(sql_str, r)
conn.commit()
if __name__ == "__main__":
from serenitas.utils.db import serenitas_pool
conn = serenitas_pool.getconn()
with init_bbg_session() as session:
df = get_index_members(session, "EUFS", 36)
missing = add_missing_issuers(conn, session, df)
basketid = new_basket_id(conn, session, "EUFS", 36, coupon=100)
new_index_series(conn, basketid, df)
serenitas_pool.putconn(conn)
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